Whenever possible, I try to visit several countries in one trip and cross borders physically. Sometimes it's as easy as crossing a street, sometimes it means finding yourself in the middle of an international conflict. Sometimes it's both - such as when entering disputed Northern Cyprus in the middle of a shopping street.
Some are an experience on their own - crossing the Öresund Bridge for example; the ferry between Helsinki and Tallinn, where alcohol-starved Finns reload on cheap booze; or the scenic train ride between Munich and Innsbruck.
The vast majority of these are in Europe - where the "crossing a street" variant is wonderfully common :)
The list image is a reminder to myself never to walk to the UK from Cyprus in sandy flip flops again: blister from hell.